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Unfortunately (stock) Android does not include exFAT support due to licensing issues (Microsoft patent encumbrance)
You can use Solid explorer with the USB OTG plugin to read exfat, it costs a few $$ but works nicely, especially if you're already using solid as your file manager anyway. It will not work as a system-level storage device however, it just allows you to access the files within solid itself. Mounting an exfat device on the system level like a fat32 device would requires root and (i think) a custom kernel.
there's a seperate USB OTG extension for SE. it's paid though, one dorra
Solid Explorer indeed recognises it.
You need a plug in for that OTG plug in
Solid explorer has an OTG plugin.
https://play.google.com/store/apps/details?id=pl.solidexplorer.plugins.otg
It's separate. This is the playstore link: https://play.google.com/store/apps/details?id=pl.solidexplorer.plugins.otg
What firmware is on it? Rockbox?
Does it show any text to let you know?
Have you tried Solid Explorer otg instead and see if you get the same error?
Have you been removing the player safely when you unplug it from the android?
Is the Android Phone Rooted?
If it is, depending on the version of android, you may want to look up Chainfires system mount for older versions.
Newer version of android look up termux system mount
If not, try to unmount the storage and mount it again under settings ->Storage